Background High-density lipoprotein (HDL) functionality and low-density lipoprotein (LDL) atherogenic traits can describe the role of both particles on cardiovascular diseases more accurately than HDL- or LDL-cholesterol levels. However, it is unclear how these lipoprotein properties are particularly affected by different cardiovascular risk factors. Objective To determine which lipoprotein properties are associated with greater cardiovascular risk scores and each cardiovascular risk factor. Methods In two cross-sectional baseline samples of PREDIMED trial volunteers, we assessed the associations of HDL functionality (N = 296) and LDL atherogenicity traits (N = 210) with: 1) the 10-year predicted coronary risk (according to the Framingham-REGICOR score), and 2) classical cardiovascular risk factors. Results Greater cardiovascular risk scores were associated with low cholesterol efflux values; oxidized, triglyceride-rich, small HDL particles; and small LDLs with low resistance against oxidation (P-trend<0.05, all). After adjusting for the rest of risk factors; 1) type-2 diabetic individuals presented smaller and more oxidized LDLs (P<0.026, all); 2) dyslipidemic participants had smaller HDLs with an impaired capacity to metabolize cholesterol (P<0.035, all); 3) high body mass index values were associated to lower HDL and LDL size and a lower HDL capacity to esterify cholesterol (P<0.037, all); 4) men presented a greater HDL oxidation and lower HDL vasodilatory capacity (P<0.046, all); and 5) greater ages were related to small, oxidized, cytotoxic LDL particles (P<0.037, all). Conclusions Dysfunctional HDL and atherogenic LDL particles are present in high cardiovascular risk patients. Dyslipidemia and male sex are predominantly linked to HDL dysfunctionality, whilst diabetes and advanced age are associated with LDL atherogenicity.